Question: Let rt be a stationary AR(1)/ARCH(1) process with rt=1.5 0.8rt-1 at, where at=t(1 0.10(at-1)2)1/2, and 1, 2, 3, ... are independent N(0,4) random variables. Match

Let rt be a stationary AR(1)/ARCH(1) process with rt=1.5 0.8rt-1 at, where at=t(1 0.10(at-1)2)1/2, and 1, 2, 3, ... are independent N(0,4) random variables. Match the following statements to the corresponding answers. The unconditional variance Var(at) is:

The conditional expectation E(r3|r2=2.30,r1=1.20,r0=0.00) is:

The conditional variance Var(a2|a1=-1) is:

The conditional variance Var(r3|r2=2.30,r1=1.20,r0=0.00) is:

The correlation between at and at-h for h=1, 2, 3,... is:

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